Grigori N. Milstein

E645106

Grigori N. Milstein is a mathematician known for his influential contributions to numerical analysis of stochastic differential equations, including the development of the Milstein method.

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Grigori N. Milstein canonical 2

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Predicate Object
instanceOf mathematician ⓘ
numerical method ⓘ
numerical scheme for stochastic differential equations ⓘ
person ⓘ
appliesTo stochastic differential equations ⓘ
contributedTo development of numerical methods for stochastic differential equations ⓘ
developed Milstein method for stochastic differential equations ⓘ
linked to: Milstein method
fieldOfUse computational finance ⓘ
numerical analysis ⓘ
stochastic modeling ⓘ
fieldOfWork mathematics ⓘ
numerical analysis ⓘ
stochastic analysis ⓘ
stochastic differential equations ⓘ
hasProperty higher order of strong convergence than Euler–Maruyama method ⓘ
hasResearchInterest numerical schemes for stochastic differential equations ⓘ
stochastic integration ⓘ
strong and weak approximation of stochastic differential equations ⓘ
influenced computational stochastic analysis ⓘ
knownFor numerical analysis of stochastic differential equations ⓘ
namedAfter Grigori N. Milstein ⓘ
notableFor Milstein method ⓘ
notableWork Milstein scheme for stochastic differential equations ⓘ
linked to: Milstein method
usedFor simulation of stochastic differential equations ⓘ
strong approximation of stochastic differential equations ⓘ

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Full triples — surface form annotated when it differs from this entity's canonical label.

Milstein method → namedAfter → Grigori N. Milstein ⓘ
Milstein method → namedAfter → Grigori N. Milstein ⓘ
subject linked to: Grigori N. Milstein